Catalina v10.15.4 and Photoshop v21.1.1 issue with saving JPG

When I attempt to save a file for web following these steps:

File >> Export >> Save for web >> JPEG

The saved file does not have a file extension. I am still able to see a preview of the file, it is just not named <filename>.jpg, rather just <filename>. Anyone know what may have changed in Catalina and/or Photoshop that changes this?